Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0651
Annualized Std Dev 0.2570
Annualized Sharpe (Rf=0%) 0.2534

Row

Daily Return Statistics

Close
Observations 3367.0000
NAs 1.0000
Minimum -0.1178
Quartile 1 -0.0060
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0072
Maximum 0.1086
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0162
Skewness -0.4440
Kurtosis 9.1998

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0116
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.6425
Historical VaR (95%) -0.0234
Historical ES (95%) -0.0397
Modified VaR (95%) -0.0252
Modified ES (95%) -0.0495
From Trough To Depth Length To Trough Recovery
2007-06-08 2009-03-06 2011-03-31 -0.6425 859 344 515
2018-01-29 2020-03-23 2021-01-06 -0.4784 738 540 198
2015-04-16 2016-01-20 2016-11-22 -0.2744 407 193 214
2011-05-11 2011-10-03 2012-02-03 -0.2460 186 101 85
2012-03-27 2012-06-04 2012-09-13 -0.1442 119 48 71

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 2.3 1.7 -2.1 0.3 1.3 -2.2 1.1 -0.2 2.2
2008 0.9 -3.2 -3.7 0.7 1.5 -1.1 0.4 -0.5 2.6 5 -8.6 4.3 -2.4
2009 -3.7 -2.9 1.4 1.2 5.5 2 -0.2 -1.7 -2.2 -2.4 1.5 -0.9 -2.7
2010 0.9 1.6 0.3 -1.9 -1.7 -1.6 -0.2 -0.5 0.1 -0.5 2.3 -0.2 -1.5
2011 1.7 -1.3 0.7 0.1 -1.9 1.6 -0.6 -1.9 -1.8 -3.5 -0.6 -0.3 -7.7
2012 1.8 0.7 0.1 0.7 -3.1 4 -0.5 0.6 0 1.8 0.1 1.3 7.4
2013 0.6 -0.4 -0.8 -1.3 -0.6 0.5 1.7 -0.8 1 0 -0.1 0.2 -0.2
2014 -0.8 0.3 0.6 0 0 0.5 -0.3 0.3 -1.3 1.4 -1.4 -1 -1.6
2015 -0.9 -0.1 0 0.7 -0.4 0 -0.2 -3 -0.5 0.4 0.8 -0.8 -4.1
2016 -0.2 1.8 -0.1 -0.7 0.2 0.5 -0.9 -0.2 1.5 -0.8 -0.1 -0.2 0.8
2017 0 1.1 0.3 -0.1 1.5 0.7 0.1 0.7 0.1 0.2 -0.5 0 4.2
2018 -0.3 -2.1 1.2 -0.1 0.5 0.5 -0.8 -0.2 -0.6 1.6 -0.3 0.1 -0.7
2019 0.5 0.7 1.3 -0.7 -1.7 0.5 -2.3 0 -2.4 1.6 -0.7 0.3 -3
2020 -2.2 -1.7 -5.3 -5.7 2 -1.7 -0.8 0 0.7 -0.2 1.6 0.5 -12.4
2021 2.3 2 -0.2 NA NA NA NA NA NA NA NA NA 4.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy  ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>  <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-05-11  30.0 SPY    151. 0.0086  -0.0004   0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068   -0.0255
2 2007-05-23  30.6 SPY    152. 0.0001   0.0055   0.0292   0.045     0.209    0.391    0.402 GLD    65.5  0.0049   -0.0009
3 2007-05-25  30.1 SPY    152. 0.0042  -0.0061   0.0136   0.0449    0.202    0.376    0.378 GLD    64.9  0.00290  -0.0089
4 2007-06-01  30.8 SPY    154. 0.005    0.02     0.0304   0.111     0.208    0.365    0.44  GLD    66.4  0.0137    0.0261
5 2007-06-04  30.8 SPY    154. 0.0001   0.0159   0.0249   0.122     0.197    0.367    0.437 GLD    66.5  0.0015    0.0246
6 2007-06-08  30.0 SPY    151. 0.013   -0.0197  -0.0008   0.0729    0.200    0.317    0.460 GLD    64.2 -0.0159   -0.0334
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart